Suicide is a leading cause of death among youth. In the year 2002, Lithuania had the 2nd, Luxembourg the 5th, and Estonia the 9th highest suicide rates among 15- to 19-year-olds across 90 countries worldwide. Suicidal ideation is a significant precursor to suicide. Aims: To report on the prevalence of and associations between suicidal ideation, smoking, alcohol consumption, physical fighting, bullying, and communication with parents among 15-year-old schoolchildren. Methods: The survey analyzes data from the 2005/2006 HBSC study from Estonia, Lithuania, and Luxembourg (N = 4,954). The risk factors were calculated through multinomial logistic regression analyses. Results: The overall prevalence of suicidal ideation in the preceding year was 17%. Suicidal thoughts were associated with communication difficulties with parents (OR from 2.0 to 4.6) and other risk factors, especially multiple risks (OR for 4–5 concurrent risk factors from 4.5 to 13.6). Parent-child communication had a significant mediating effect by decreasing the odds for suicidality and multiple risks. Limitations: The prevalence estimates were obtained by self-reports. The causal relationships need further investigation. Conclusion: The risk factors studied, particularly multiple risks, were associated with higher odds for suicidal ideation. Good parent-child communication is a significant resource for decreasing suicidal ideation among adolescents.